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Basic Question 0 of 40
In the context of ARCH, what does "heteroskedasticity" refer to?
A. Constant variance of residuals.
B. Time-varying volatility in the data.
C. Serial correlation in the time series.
D. Stationarity of the time series.
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I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
Andrea Schildbach
Learning Outcome Statements
explain autoregressive conditional heteroskedasticity (ARCH) and describe how ARCH models can be applied to predict the variance of a time series;
CFA® 2025 Level II Curriculum, Volume 1, Module 5.